SuperTrend VS Benchmark
1 Jan, 2018 - 30 Apr, 2025

Benchmark is BTC_RETURN | Generated by QuantStats (v. 0.0.59)

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	50.0%	100.0%

Cumulative Return	192.92%	596.22%
CAGR﹪	15.79%	30.31%

Sharpe	0.05	0.06
Prob. Sharpe Ratio	93.25%	97.56%
Smart Sharpe	0.05	0.06
Sortino	0.07	0.09
Smart Sortino	0.07	0.09
Sortino/√2	0.05	0.06
Smart Sortino/√2	0.05	0.06
Omega	1.01	1.01

Max Drawdown	-68.65%	-81.56%
Longest DD Days	1047	1046
Volatility (ann.)	3.78%	6.15%
R^2	0.42	0.42
Information Ratio	-0.0	-0.0
Calmar	0.23	0.37
Skew	0.3	0.6
Kurtosis	102.05	96.08

Expected Daily	0.0%	0.0%
Expected Monthly	1.23%	2.23%
Expected Yearly	14.38%	27.45%
Kelly Criterion	0.6%	2.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.39%	-0.64%
Expected Shortfall (cVaR)	-0.39%	-0.64%

Max Consecutive Wins	12	14
Max Consecutive Losses	12	13
Gain/Pain Ratio	0.09	0.13
Gain/Pain (1M)	0.54	0.79

Payoff Ratio	1.04	1.04
Profit Factor	1.01	1.01
Common Sense Ratio	1.03	1.02
CPC Index	0.52	0.53
Tail Ratio	1.02	1.0
Outlier Win Ratio	13.57	4.04
Outlier Loss Ratio	4.57	3.96

MTD	10.89%	14.33%
3M	4.56%	-9.02%
6M	10.93%	29.76%
YTD	7.45%	0.86%
1Y	31.84%	47.78%
3Y (ann.)	30.86%	48.97%
5Y (ann.)	28.26%	59.71%
10Y (ann.)	15.79%	30.31%
All-time (ann.)	15.79%	30.31%

Best Day	8.28%	22.63%
Worst Day	-12.62%	-13.17%
Best Month	36.09%	60.78%
Worst Month	-37.62%	-37.29%
Best Year	95.69%	301.98%
Worst Year	-61.27%	-72.68%

Avg. Drawdown	-3.28%	-2.97%
Avg. Drawdown Days	17	10
Recovery Factor	2.81	7.31
Ulcer Index	0.36	0.48
Serenity Index	0.02	0.06

Avg. Up Month	12.28%	22.12%
Avg. Down Month	-8.94%	-13.9%
Win Days	49.33%	50.39%
Win Month	54.55%	52.27%
Win Quarter	50.0%	53.33%
Win Year	75.0%	75.0%

Beta	0.4	-
Alpha	0.0	-
Correlation	64.58%	-
Treynor Ratio	486.39%	-

EOY Returns vs Benchmark

Year	Benchmark	Strategy	Multiplier	Won
2018	-72.68	-61.27	0.84	+
2019	94.31	81.45	0.86	-
2020	301.98	95.69	0.32	-
2021	59.79	26.54	0.44	-
2022	-64.21	-36.13	0.56	+
2023	155.61	63.17	0.41	-
2024	121.31	50.34	0.41	-
2025	0.86	7.45	8.66	+

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2018-01-05	2020-11-18	-68.65	1047
2021-10-21	2024-02-28	-55.81	860
2021-05-03	2021-10-06	-33.54	156
2024-11-13	2025-04-30	-26.14	167
2021-01-07	2021-01-29	-16.70	21
2024-05-21	2024-08-08	-13.74	79
2021-02-09	2021-02-24	-12.27	14
2024-03-08	2024-05-20	-12.07	73
2020-11-30	2020-12-16	-10.45	16
2021-01-29	2021-02-08	-9.97	9